Stochastic equations of non-negative processes with jumps

Details Stochastic equations of non-negative processes with jumps Stochastic equations of non-negative processes with jumps

2008-02-07

arxiv.org/abs/0802.0933v1

Mathematics

Probability

Scientific paper

We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. The comparison property of two solutions are proved under suitable conditions. The results are applied to stochastic equations driven by one-sided Levy processes and those of continuous state branching processes with immigration.

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